Why Daily VWAP Requires Prices Matched to Trade Volume

Summary

The document asks whether daily volume-weighted average price can be calculated from a daily snapshot containing open, high, low, close, and total volume. The answer says that these summary values are insufficient: calculating VWAP requires volume information associated with the prices at which trades occurred.

The key limitation is that the daily total volume does not reveal how much trading took place at each price. Without that distribution, the price-volume weighting needed for VWAP cannot be reconstructed exactly from the listed daily fields. The response is brief and gives no alternative approximation, formula, or example, so it establishes the required input data without discussing intraday data sources or other estimation methods.

Key ideas

• Daily open, high, low, close, and total volume do not determine exact VWAP.
• VWAP requires volume information matched to traded prices.
• Total daily volume does not show how trading was distributed across price levels.
• The response does not provide an approximation method or formula.

Tags

# Calculating a VWAP using close prices snapshot


# Calculating a VWAP using close prices snapshot












I was wondering, is it possible to calculate a daily VWAP (Volume weighted Average Price) from the close snap shot (close price, high, low open and total volume traded over the day)?

If so is there a formula?

Many thanks

## Answer by Bob Jansen (score 2, accepted)

https://quant.stackexchange.com/a/35794

No, you need the volume at each traded price level.

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